Adding Office365 hosted mailhost

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How do you add mailhosts when your email address domain is actually hosted on Office 365?

For example, my email address is first.last@company.com. But mail sent to this address (via smtp.company.com) actually is rerouted from @company.com via some other domains and eventually to an Exchange server at outlook.com.

When I try the mailhost configuration, it fails with error "The email sample you submitted for first.last@company.com appears to traverse more than one domain. Please ensure that you configure each mailhost individually and in order."

This is is true, but I there's nothing I can do about that. I can't configure outlook.com because I don't have an outlook.com email address. And there is no way for me to receive email without it being forwarded along the server chain.